Testing strategies for model specification
type: Item
instance of: scholarly article
title: Testing strategies for model specification
zbMATH Open document ID: 0606.62131
DOI: 10.1016/0096-3003(86)90007-X
author: Jan F. Kiviet
author: G. D. A. Phillips
published in: Applied Mathematics and Computation
publication date: 1986-01-01T00:00:00Z
review text: The paper discusses the main types of test procedures in the econometric analysis of time series. Special emphasis focusses on the opportunity to uphold the Neyman-Pearson theory in the case of repeated testing on the same set of sample data. The test procedures employed in the paper are the Wald-, Lagrange multiplier-, and the likelihood-ratio test. All these procedures are asymptotically equivalent but may differ for finite samples. Using these test procedures, the authors prove that for the case where a sequence of superposed alternatives is tested by marginal tests, the various test statistics are asymptotically independent under a common null hypothesis. It is further shown how independence of test statistics allows for the control of the overall type I error. By distinguishing constructive hypotheses and auxiliary hypotheses a clear separation between specification tests and misspecification tests can be made. Specification tests are concerned with the determination of the order of dynamics and with the discrimination between system dynamics and error dynamics, whereas misspecification tests deal with problems like nonconstant parameters, heteroscedasticity, serially correlated errors, and nonnormality of disturbances. The paper discusses the problems associated with testing for several (mis-) specification tests jointly or sequentially, and suggests an overall testing strategy.
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62F03
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 3980334
zbMATH Keywords: Wald test
zbMATH Keywords: test procedures
zbMATH Keywords: econometric analysis of time series
zbMATH Keywords: Neyman- Pearson theory
zbMATH Keywords: repeated testing
zbMATH Keywords: Lagrange multiplier
zbMATH Keywords: likelihood-ratio test
zbMATH Keywords: marginal tests
zbMATH Keywords: overall type I error
zbMATH Keywords: specification tests
zbMATH Keywords: misspecification tests
zbMATH Keywords: heteroscedasticity
zbMATH Keywords: serially correlated errors
zbMATH Keywords: nonnormality of disturbances
MaRDI profile type: Publication
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full work available at URL: 0096-3003(86)90007-x
OpenAlex ID: W1979254790
description: scientific article; zbMATH DE number 3980334